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Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10003313338

Basics of Lévy processes

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2012

Persistent link: https://www.econbiz.de/10009579331

Basics of Lévy processes

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2012

Persistent link: https://www.econbiz.de/10009579520

Non-Gaussian OU based models and some of their uses in financial economics

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000

Persistent link: https://www.econbiz.de/10009581672

Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001984063

Probability densities and Lévy densities

Barndorff-Nielsen, Ole E. - 2000

Persistent link: https://www.econbiz.de/10001500129

Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001834989

Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001838599